Jumps and stochastic volatility in crude oil prices and advances in average option pricing

DOI10.1080/14697688.2016.1211798zbMath1400.91598OpenAlexW2503128934MaRDI QIDQ4554251

Nikos C. Papapostolou, Panos K. Pouliasis, Ioannis Kyriakou

Publication date: 13 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://openaccess.city.ac.uk/id/eprint/15050/1/JumpsStochVolCrudeOil_CRO_SSRN.pdf

zbMATH Keywords

stochastic volatilityjump diffusionoil pricesarithmetic Asian options

Mathematics Subject Classification ID

Related Items (4)

A strengthened solution to option manipulation ⋮ Additive normal tempered stable processes for equity derivatives and power-law scaling ⋮ Forecasting crude oil prices: do technical indicators need economic constraints? ⋮ Pricing Asian options with stochastic convenience yield and jumps

Uses Software

• Algorithm 644

Cites Work

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